Literature that has not been published through traditional means. It is often excluded from large databases and other mainstream sources.
Unpublished conference papers, theses and dissertations
Notes and logs kept by researchers
Professors' teaching notes, students' lecture notes
Company annual reports, Project and study reports
Institutional reports, Technical reports
Reports put out by government agencies
Data and statistics
Unpublished letters and manuscripts
Patents, technical standards
Grey literature is not easy to find, so expect to have to do quite a bit of searching. With more information being published online, it's become a bit easier.
Government agencies, research institutes, organizations, companies or associations will often have a link to "research" or "publications" on their website. If the body produces a large quantity of publications, then they might even have a "database" or "institutional repository" available for searching.
It is helpful if you know which bodies publish in your area of research interest, but if you don't know where to look, you have a few options:
Speak with your instructor. They might be able to point you to relevant resources.
Speak to a librarian.
Use Google or Google Scholar. You should be able to find a good amount of grey literature just through keyword searching, especially if you use the advanced search features which allow you to filter to specific website domains.